class Bot():
def __init__(self, order_size):
print('started bot')
self.__nn_threshold = 0.7
self.__nn = NN()
self.__gene = []
self.__nn_input_data_generator = NNInputDataGenerator()
self.__read_genes()
self.num_genes = len(self.__gene)
self.bot_accounts = []
for i in range(self.num_genes):
self.bot_accounts.append(BotAccount(i))
self.__pred = {}
self.__pred_log = {}
self.__bot_started_time = datetime.now()
self.__bot_elapsed_time = 0
self.__order_size = round(order_size / self.num_genes)
self.__full_order_size = order_size
th = threading.Thread(target=self.__bot_thread)
th.start()
def __initialize_combined_order_data(self):
self.order_side_com = ''
self.order_price_com = 0
self.order_qty_com = 0
def __read_genes(self):
for f in glob.glob('./Model/*_best_weight.csv'):
self.__gene.append(Gene(f, None, None))
print('Identified ', len(self.__gene), ' genes.')
'''
毎分MarketDataに最新のデータが準備されたことを確認して、各戦略のNN計算して必要なアクションを取る。
いずれかのBotAccountでorderがある時は約定データを取得してそれらのBotAccountに渡して約定確認・処理を行う。
'''
def __bot_thread(self):
loop_num = 0
while SystemFlg.get_system_flg():
#毎分のデータ更新時の処理
if MarketData.get_ohlc_flg() == True:
ohlc = MarketData.get_ohlc()
index = MarketData.get_index()
for i in range(self.num_genes
): #各戦略毎に新しい行動を計算して、実際に発注等する。結果をBotAccountに入力
order_data = self.bot_accounts[i].get_last_order_data()
holding_data = self.bot_accounts[i].get_holding_data()
performance_data = self.bot_accounts[
i].get_performance_data()
nn_output = self.__nn_process(ohlc, index, i, order_data,
holding_data,
performance_data)
actions = Strategy.ga_limit_market_strategy(
nn_output, self.__order_size, self.__order_size,
order_data, holding_data, i)
print('#', i, ' - pred=', nn_output[0])
for j in range(len(actions.action)):
if actions.action[j] == 'entry':
res = Trade.order(actions.order_side[j],
actions.order_price[j],
actions.order_type[j],
actions.order_size[j])
if res != None:
self.bot_accounts[i].entry_order(
res['info']['order_id'],
res['info']['side'], res['info']['price'],
res['info']['qty'],
res['info']['order_type'],
actions.order_message[j])
elif actions.action[
j] == 'cancel' and order_data['side'] != '':
res = Trade.cancel_order(order_data['id'])
if res != None:
self.bot_accounts[i].cancel_order(
order_data['id'])
elif actions.action[j] == 'update amount':
res = Trade.update_order_amount(
actions.order_serial_num[j],
actions.order_size[j])
if res != None:
self.bot_accounts[i].update_order_amount(
order_data['id'], actions.order_size[j])
elif actions.action[j] == 'update price':
res = Trade.update_order_price(
actions.order_serial_num[j],
actions.order_price[j])
if res != None:
self.bot_accounts[i].update_order_price(
order_data['id'], actions.order_price[j])
else:
print('Unknown strategy action-',
actions.action[j])
self.bot_accounts[i].move_to_next(ohlc['datetime'],
loop_num, ohlc,
self.__order_size)
loop_num += 1
#次のデータ更新まで未約定orderがある時に約定確認処理を継続する
order_remaining_flg = True
while MarketData.get_ohlc_flg() == False and order_remaining_flg:
order_remaining_flg = False
for i in range(self.num_genes): #未約定注文有無の確認
if len(self.bot_accounts[i].order_id) > 0:
order_remaining_flg = True
if order_remaining_flg == False: #未約定注文がなければ確認処理を停止
break
else:
exec_list = Trade.get_executions()
if exec_list != None: #datetime unmatched errorで取得できないことがある。
for i in range(self.num_genes):
if len(self.bot_accounts[i].order_id) > 0:
self.bot_accounts[i].check_execution(
exec_list) #未約定注文があるBotAccountに約定データを渡す
time.sleep(3)
time.sleep(1)
print('Exited Bot thread loop !')
LineNotification.send_message('Exited Bot thread loop !')
def __nn_process(self, ohlc, index, account_id, order_data, holding_data,
performance_data):
nn_input = self.__nn_input_data_generator.generate_nn_input_data_limit(
self.__gene[account_id].num_index, ohlc, index, order_data,
holding_data, performance_data)
nn_outputs = self.__nn.calc_nn(nn_input, self.__gene[account_id], 0)
self.__pred[account_id] = self.__nn.getActivatedUnitLimitMarket2(
nn_outputs, self.__nn_threshold
) #{0:'no', 1: 'buy', 2:'sell', 3:'cancel'}[nn_output]
return self.__pred[account_id]
def __calc_combined_orders(self):
for i in range(self.num_genes):
od = self.self.bot_accounts[i].get_last_order_data()
class Sim:
def __init__(self, bool_display):
print('started Sim.')
SimAccount.initialize()
self.loop_i = 0
self.max_amount = 1
self.nn = NN()
self.nn_input_data_generator = NNInputDataGenerator()
self.gene = Gene('./Model/best_weight.csv')
self.pred = -1
self.pred_log = []
self.__bool_display = bool_display #True=display log
th = threading.Thread(target=self.__sim_thread)
th.start()
def __sim_thread(self):
while SystemFlg.get_system_flg():
if MarketData.ohlc_sim_flg == True:
#毎分MarketDataでohlc / indexが更新されたことを確認
ohlc = MarketData.get_latest_ohlc(
0
) #{'dt', 'open', 'high', 'low', 'close', 'divergence_scaled', 'vola_kyori_scaled}
#SimAccountのpl / holding periodなどを更新
SimAccount.ohlc_update(self.loop_i, ohlc)
#check invalid ac situation
if SimAccount.getNumOrders() > 1:
print('Sim: # of order is more than 1 !')
#nnの計算を行い、strategyで必要なアクションを計算
self.__nn_process(ohlc['divergence_scaled'],
ohlc['vola_kyori_scaled'])
#SimAccountのorderを更新する。
actions = Strategy.sim_ga_limit_strategy(
self.pred, 1, self.max_amount, ohlc)
self.__sim_action_process(self.loop_i, actions, ohlc)
#Log
LogMaster.add_sim_holding_log(ohlc['dt'],
SimAccount.get_holding_data())
LogMaster.add_sim_order_log(ohlc['dt'],
SimAccount.get_order_data())
LogMaster.add_sim_performance_log(
ohlc['dt'], SimAccount.get_performance_data())
LogMaster.add_sim_trade_log(ohlc['dt'],
SimAccount.get_latest_trade_log())
#Display
if self.__bool_display:
print('')
print(
'**************************************************************************************************'
)
print('i=', self.loop_i)
del ohlc['divergence_scaled']
del ohlc['vola_kyori_scaled']
del ohlc['vol_ma_divergence_scaled']
print(ohlc)
print('nn ouput=', {
0: 'no',
1: 'buy',
2: 'sell',
3: 'cancel'
}[self.pred_log[-1]])
performance_log = SimAccount.get_performance_data()
print(
'----------------------------------------Performance Data--------------------------------------------'
)
print(performance_log)
print(
'-------------------------------------------Holding Data---------------------------------------------'
)
print(SimAccount.get_holding_data())
print(
'--------------------------------------------Order Data----------------------------------------------'
)
print(SimAccount.get_order_data())
print(
'--------------------------------------------Trade Log-----------------------------------------------'
)
print(SimAccount.get_latest_trade_log())
print(
'**************************************************************************************************'
)
#create pl chart
plog = LogMaster.get_sim_performance_log()
self.__generate_pl_chart(plog)
#send message
LineNotification.send_performance(performance_log)
LineNotification.send_holding(
SimAccount.get_holding_data())
if os.path.isfile('./Image/sim_pl.jpg'):
LineNotification.send_image(
open('./Image/sim_pl.jpg', 'rb'))
self.loop_i += 1
time.sleep(1)
def __nn_process(self, divergence_scaled, vola_kyori_scaled):
nn_input = self.nn_input_data_generator.generate_nn_input_data_limit_sim(
divergence_scaled, vola_kyori_scaled)
nn_outputs = self.nn.calc_nn(nn_input, self.gene.num_units,
self.gene.weight_gene1,
self.gene.weight_gene2,
self.gene.bias_gene1,
self.gene.bias_gene2, 1)
self.pred = self.nn.getActivatedUnit(
nn_outputs) #{0:'no', 1: 'buy', 2:'sell', 3:'cancel'}[nn_output]
self.pred_log.append(self.pred)
#print('Sim: nn output=', self.pred, ':', {0:'no', 1: 'buy', 2:'sell', 3:'cancel'}[self.pred])
def __generate_pl_chart(self, plog):
if len(plog) > 2:
df = pd.concat([
pd.DataFrame(plog.values()),
pd.DataFrame({'dt': plog.keys()})
],
axis=1)
df = df.set_index('dt')
fig, ax = plt.subplots()
plt.plot(df.index, df['total_pl'])
#plt.xticks(rotation=70)
xfmt = mdates.DateFormatter("%d - %H:%M")
ax.xaxis.set_major_formatter(xfmt)
labels = ax.get_xticklabels()
plt.setp(labels, rotation=45, fontsize=10)
plt.show()
plt.savefig('./Image/sim_pl.jpg')
plt.close()
def __sim_action_process(self, i, actions: ActionData, ohlc):
for j in range(len(actions.action)):
if actions.action[j] == 'entry':
SimAccount.entry_order(i, actions.order_side[j],
actions.order_price[j],
actions.order_size[j], ohlc['dt'],
actions.order_type[j],
actions.order_message[j])
elif actions.action[j] == 'cancel':
SimAccount.cancel_all_order(i)
elif actions.action[j] == 'update amount':
print('update amount is not programmed !')
pass
elif actions.action[j] == 'update price':
SimAccount.update_order_price(i, actions.order_serial_num[j],
actions.order_price[j])
else:
print('Sim: Unknown strategy action !')
